在評價信用衍生性金融商品 (credit derivatives) 之一籃子違約交換 (Basket Default Swaps, BDS) 時，常假設各資產 (asset) 違約時的償還率 (recovery rate) 為常數，本文將假設償還率為隨機 (stochastic) 型式，使得更符合一般現實狀況。本文參考 Kupiec (2008) 之相關隨機償還率模型，假設各資產之償還率間為具相關性的隨機變數，利用蒙地卡羅模擬法 (Monte Carlo simulation)，評價 BDS 中的第 k 個違約交換 (kth-to-default swaps)，並對不同參數進行敏感度分析，探討各參數與第 k 個違約交換評價之關係。

It often assumes that recovery rate of every asset is constant when evaluating one of credit derivatives, Basket Default Swaps, BDS. However, recovery rates were presumed as a stochastic term to conform to realistic situations in this paper. Kupiec's stochastic recovery rates model (2008) which let the recovery rate of each asset be dependent is discussed in the paper. Through Monte Carlo simulation, kth-to-default swaps in BDS was evaluated, discussed and analyzed sensitivity to different parameters.

1.緒論 1
2.文獻回顧 2
3.研究方法 4
3.1 違約時間模型與償還率模型 4
3.2 第 k 個違約交換之評價 10
4.敏感度分析 13
5.結論 17
附錄A 19
附錄B 20
參考文獻 21

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